Option Calculator - estimate the future value of an option — letYourMoneyGrow.com - Serving Retail Investors

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Easter Egg from letYourMoneyGrow.com - Simulate and Visualize your Stock Portfolio]]>

I am working on a project and need your help with a module.

I have daily stock prices for Index for last 10 years. The question goes like

Considering last 10 year daily price movements of NASDAQ, write a program to check whether fractal geometrics could have better predicted stock market movements than log-normal distribution assumption. Explain your...

stock market prediction: fractals vs lognormal distribution]]>

For a project I am using a Kalman Filter, predicting one assets price, A(t), using a linear regression

A(t) = B(t) * Beta(t) + alpha(t)

so let:

X(t) := cointegration spread (removing alpha) = A(t) - B(t) * Beta(t)

and

Z(t) := spread = A(t) - B(t)

When 2 standard deviations of the cointegration adjusted spread is less than the Bid Ask spread of the assets. How would you go about pairs trading with them? I am guessing it would be using X(t) to trade Z(t). Thoughts?]]>

I was hoping someone could give me an advice on implementing shifted lognormal model. Ideally it should be BDT, but BK would be also fine.

Underlying code would be very much appreciated, but advice also does it!

Many thanks in advance!]]>

I'm trying to estimate the share of working population by state that's being paid below the minimum wage. I have the following variables:

Working population

Standard error of the working population

Aveage hourly wage

Standard error of the hourly wage

Minimum wage

Hourly wage for the 10th, 25th, 50th, 75th and 90th percentiles

How could I estimate the share of the working population, say that's getting paid less than $10/hour, without having the sample size (I think the latter...

Modeling wages]]>

To hedge her risk she’ll use futures contracts.

However, there are no futures contracts for grapefruit juice.

So she will use orange juice futures instead : each contract is for 15k pounds of orange juice & current futures price=118.56 cents per pound.

Standard Deviation of the prices of orange juice & grapefruit juice is 20% &...

Interview Question: Goldman Sachs: Imperfect Hedge]]>

I'm currently working on my research project in college. I am planning to back-test option trading strategies like bull spread, bear spread, collar strategy on historical data of options. But I am unable to come up with correct approach to work on it.

Can you guys suggest me some free tools and websites where I can get historical data and back-test strategies.

Any other inputs which you want to suggest to work on such project.

Thanks.]]>

I decided to do a project(Quasi Monte Carlo Simulation for my Advanced Derivatives Class and the professor wanted me to determine which financial model I will use and what type of risk problems I will study on my project.I decided to go with stochastic volatility model and the risk part will be the stock price fluctuations.Therefore I will add Greeks as well.That is the infrastructure of my project.What do you think?Do I follow a legal path?

Thanks in advance]]>

For testing I want to price options on a stock which follows GBM. For illustration, I have considered 2 time steps and 3 paths.

Time1: 12, 14, 13

Time2: 17, 14, 10

So, average price for valuation period is: average(12, 14, 13, 17, 14, 10) = 13.33

Avg for Time1 is: average(12, 14, 13) = 13

Avg for Time2 is: average(17, 14, 10) = 13.67

Assuming strike for call options which needs to...

Option intrinsic value using Monte Carlo]]>

(a) p = q = 1 (b) q > p = 1 (c) p > q = 1 (d) p > 1 and q > 1]]>

My work is to predict the behaviour of exchange rate of morocco after the announce of central bank that the exchange rate will be floating next years ?

Is there any stochastic model that can help to do this ?

thanks guys]]>

Problem with R code, with option pricing]]>

Build a 15-period binomial model whose parameters should be calibrated to a Black-Scholes geometric Brownian motion model with: (time to maturity)T=.25 years, (initial stock price)S0=100, (interest rate) r=2%, (volatility) σ=30%, and a dividend yield of c=1%.

I have the model...

Binomial Pricing Model]]>

also, if there is a way then how do we calibrate the long term mean and the reversion speed

Earlier i tried calibrating a mean reverting series to the OU process and solved for params to compute LTM and half life stuff ..

but the idea here is to have...

Time series harmonic check]]>

In the discrete model, without transaction cost :

The self financing hypotheses would mean having...

Self-financing trading strategy (continuous + transaction cost)]]>

The return distributions of these assets are non-normal. In particular, for one...

Optimize portfolio of non-normal binary return assets]]>

December 2016 = 10.1901%

I used a risk free return of 3%/year or 0.25%/month. Based on these numbers, are my Share Ratio calculations correct?]]>

Please, could someone suggest a way to price it in function of the actual listed price (of real stocks) and an expected listing date fo those shares.]]>